Implicit stochastic Runge-Kutta methods for stochastic differential equations
type: Item
instance of: scholarly article
title: Implicit stochastic Runge-Kutta methods for stochastic differential equations
zbMATH Open document ID: 1048.65005
author: Tianhai Tian
author: Kevin Burrage
published in: BIT
publication date: 2004-08-06T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 65L20
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 2081527
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Runge-Kutta methods
zbMATH Keywords: stiffly accurate
zbMATH Keywords: numerical stability
zbMATH Keywords: comparison of methods
zbMATH Keywords: Stratonovich type
zbMATH Keywords: convergence
zbMATH Keywords: asymptotic stability
zbMATH Keywords: trapezoidal method
zbMATH Keywords: numerical results
MaRDI profile type: Publication
full work available at URL: b:bitn.0000025089.50729.0f
OpenAlex ID: W1982928239
DOI: 10.1023/B:BITN.0000025089.50729.0F
description: scientific article; zbMATH DE number 2081527